Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0058 |
| Annualized Std Dev | 0.0555 |
| Annualized Sharpe (Rf=0%) | 0.1043 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3252.0000 |
| NAs | 1.0000 |
| Minimum | -0.0685 |
| Quartile 1 | -0.0011 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0011 |
| Maximum | 0.0527 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0035 |
| Skewness | -0.8736 |
| Kurtosis | 81.0213 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0025 |
| Gain Deviation | 0.0031 |
| Loss Deviation | 0.0032 |
| Downside Deviation (MAR=210%) | 0.0089 |
| Downside Deviation (Rf=0%) | 0.0025 |
| Downside Deviation (0%) | 0.0025 |
| Maximum Drawdown | 0.1264 |
| Historical VaR (95%) | -0.0035 |
| Historical ES (95%) | -0.0075 |
| Modified VaR (95%) | -0.0008 |
| Modified ES (95%) | -0.0008 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-03-10 | 2020-03-19 | 2020-07-23 | -0.1264 | 95 | 8 | 87 |
| 2008-09-12 | 2008-12-16 | 2009-01-08 | -0.0625 | 70 | 58 | 12 |
| 2010-08-27 | 2011-01-24 | 2011-09-26 | -0.0522 | 273 | 103 | 170 |
| 2012-10-01 | 2016-12-01 | 2020-01-21 | -0.0497 | 1837 | 1050 | 787 |
| 2009-01-30 | 2009-02-03 | 2009-08-07 | -0.0406 | 132 | 3 | 129 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | -0.1 | -0.4 | 0.1 | 0.2 | -0.4 | 0 | 0 | -0.3 | -0.1 | 0.2 | 0.9 | 0.2 |
| 2009 | -1.6 | -0.3 | 0.7 | -0.3 | -0.8 | -1.2 | 0.2 | -0.1 | -0.2 | 0 | -0.1 | -0.1 | -3.6 |
| 2010 | -0.1 | -0.2 | -0.5 | -0.1 | -0.1 | 0.1 | 0 | -0.2 | -0.5 | -0.3 | -0.1 | -0.5 | -2.4 |
| 2011 | 0.2 | 0.3 | -0.4 | 0.3 | 0 | -0.1 | -0.3 | -0.3 | 0.2 | 0.1 | -0.2 | 0.1 | -0.1 |
| 2012 | -0.1 | -0.1 | 0.1 | -0.3 | -0.1 | -0.2 | -0.1 | 0 | -0.1 | -0.1 | 0.4 | -0.3 | -0.7 |
| 2013 | -0.1 | 0.1 | -0.1 | -0.1 | -0.1 | -0.1 | -0.2 | -0.1 | -0.3 | 0.1 | 0 | 0.2 | -0.7 |
| 2014 | -0.1 | 0.1 | -0.2 | -0.2 | -0.2 | -0.2 | 0.2 | 0.2 | -0.1 | 0 | 0.1 | 0.2 | -0.2 |
| 2015 | 0.2 | 0.2 | -0.1 | 0 | 0 | -0.1 | 0.1 | 0 | 0 | 0.1 | 0 | 0.5 | 0.9 |
| 2016 | 0.1 | -0.1 | -0.2 | 0 | -0.1 | 0 | -0.2 | -0.2 | 0 | -0.2 | -0.3 | -0.4 | -1.6 |
| 2017 | 0.1 | -0.1 | 0.1 | -0.2 | -0.3 | -0.1 | -0.2 | -0.1 | -0.1 | -0.2 | 0.1 | -0.1 | -1.2 |
| 2018 | -0.2 | -0.1 | -0.2 | -0.2 | -0.1 | 0.2 | -0.3 | -0.1 | -0.2 | -0.4 | 0.2 | 0 | -1.3 |
| 2019 | -0.1 | -0.2 | -0.3 | -0.1 | 0.2 | -0.2 | 0 | 0 | 0 | -0.1 | 0.1 | 0 | -0.8 |
| 2020 | 0 | -0.2 | -0.5 | -0.3 | -0.5 | -0.1 | 0.2 | -0.1 | -0.1 | 0 | 0 | -0.2 | -1.7 |
| 2021 | -0.2 | -0.2 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-02-26 16.7 SPY 138. 0.0075 0.021 0.04 -0.04 -0.0469 0.158 0.651 GLD 93.7 0.0105 0.0233
2 2008-02-27 16.7 SPY 138. -0.001 0.0169 0.022 -0.0194 -0.0092 0.150 0.636 GLD 94.8 0.0114 0.0165
3 2008-02-28 16.5 SPY 137. -0.0098 0.0154 0.0071 -0.04 -0.0288 0.127 0.644 GLD 96.0 0.0128 0.0294
4 2008-02-29 16.5 SPY 134. -0.0223 -0.0133 -0.0081 -0.0905 -0.0476 0.109 0.587 GLD 96.2 0.002 0.0299
5 2008-03-03 16.4 SPY 134. -0.00240 -0.0279 -0.0282 -0.0929 -0.0373 0.101 0.572 GLD 97.2 0.011 0.0485
6 2008-03-05 16.5 SPY 134. 0.0063 -0.0318 -0.029 -0.0938 -0.042 0.104 0.617 GLD 97.7 0.0267 0.031
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
